NO.PZ2017121101000008
问题如下：
A US institutional investor in search of yield decides to buy Italian government bonds for her portfolio but wants to hedge against the risk of exchange rate fluctuations. She enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers US dollars in exchange for euros for use in purchasing the Italian bonds.
Assume demand for US dollars is strong relative to demand for euros, so there is a positive basis for “lending” US dollars. By hedging the position in Italian government bonds with the currency basis swap, the US investor will most likely increase the periodic net interest payments received from the swap counterparty in:
选项：
A.euros only.
US dollars only.
both euros and US dollars.
解释：
B is correct.
By hedging the position in Italian government bonds with the cross-currency basis swap, the US investor will most likely increase the periodic net interest she receives in US dollars. The reason is that the periodic net interest payments made by the swap counterparty to the investor will include the positive basis resulting from the relatively strong demand for US dollars versus euros.
中文解析：
上图描述了整个过程
需要注意的一点是，这里是有一个期初购买意大利债券，期间收到意大利债券的利息这样一个重要的操作的。
因为正是由于切实有这样的需要EUR购买意大利债券的需求，才进入了一个互换当中。因此整个头寸的net interest payments必须要包含收到的EUR的利息的，所以净头寸只剩下r_USD +basis。即对这个美国投资者的净头寸分析中不涉及EUR的问题。
问题表述的可能有些歧义，但他想问的是这个美国投资者的净头寸是怎样的。因为本题中basis是跟着美元的，所以对美元的需求增加，已经体现在了正的basis上了,即r_USD+basis。
当然如果题目说basis是跟着非美元的，即跟着EUR的，那么就是负的basis，即r_EUR-basis
